Finance

MS Move Probability $187.11 +6.73 (+3.7%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
5.8%
Stock touched +5.0% ($196.47) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
3.5%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.67x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.7%
$182.02 — $192.20

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-16.3% to -14.5%: 1 occurrences (0.2%) -15.4% -14.5% to -12.6%: 0 occurrences (0.0%) -12.6% to -10.8%: 0 occurrences (0.0%) -10.8% to -8.9%: 0 occurrences (0.0%) -9.9% -8.9% to -7.1%: 1 occurrences (0.2%) -7.1% to -5.3%: 11 occurrences (2.1%) -5.3% to -3.4%: 24 occurrences (4.6%) -4.3% -3.4% to -1.6%: 70 occurrences (13.5%) -1.6% to +0.3%: 148 occurrences (28.5%) +0.3% to +2.1%: 154 occurrences (29.6%) 1.2% +2.1% to +4.0%: 78 occurrences (15.0%) +4.0% to +5.8%: 24 occurrences (4.6%) +5.8% to +7.6%: 5 occurrences (1.0%) 6.7% +7.6% to +9.5%: 2 occurrences (0.4%) +9.5% to +11.3%: 1 occurrences (0.2%) +11.3% to +13.2%: 1 occurrences (0.2%) 12.2%
Historical returns Target move zone (+5.0%+) Target threshold bin

Probability Breakdown: Empirical vs. Theoretical Models

Comparing actual market back-data against Black-Scholes and Fat-Tail adjustments.

Model / Methodology Touch Probability Expiration Close Probability What It Tells You
Empirical Back-Data (Actual History) 5.8% 3.5% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.5% Adjusts normal bell curve for real-world skewness (0.01) and kurtosis (5.53).
Standard Normal (Black-Scholes / GBM) 7.3% 3.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 4.8% 2.8% Filters for historical windows that started with volatility similar to current 20-day HV (353 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 30.5%
  • Recent 20-Day HV: 23.1%
  • Parkinson Intraday Volatility: 24.5%
  • Vol Trend: Compressed (-24% vs baseline)

2-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +3.2%
  • Bottom 10% Move (10th percentile): -2.7%
  • Max Historical Gain (2d): +13.2%
  • Max Historical Loss (2d): -16.3%